|The 'burbs (1989) [Ray Peterson]: Dismembered with a chainsaw by cult members in a dream sequence; he survives the movie in reality. (Thanks to Tommy)
A League of Their Own (1992) [Jimmy Dugan]: Dies of unspecified causes (off-screen) at some point between the main body of the film (set in the 1940s) and the present-day framing sequence. A memorial photo is shown in the museum.
Tales from the Crypt: None But the Lonely Heart (1992) [Baxter]: Electrocuted when Treat Williams shoves his head into a television set. (Thanks to Andrew)
Fallen Angels: I'll Be Waiting (1993) [Trouble Boy #1]: Shot to death in his car by Bruno Kirby. It's been a while since I've seen this episode, so my memory is vague, but I believe we only heard the shots from outside the car, then saw Bruno get out of the car and walk back to the hotel.
Philadelphia (1993) [Andrew Beckett]: Dies of AIDS complications in the hospital, with his family around his bedside. (It's been some time since I've seen this, so I can't recall the details very clearly.)
Saving Private Ryan (1998) [Captain John Miller]: Shot by a German soldier during a battle, he dies in Matt Damon's arms shortly afterwards.
Road to Perdition (2002) [Michael Sullivan]: Shot twice in the back by Jude Law while standing by the window. He dies in his son's (Tyler Hoechlin's) arms after managing to shoot Jude in the back to save Tyler.
The Ladykillers (2004) [Professor G.H. Dorr]: Accidentally hanged when his cape gets tangled around his neck, after an animal statue falls on his head and causes him to fall from a bridge; his body then falls onto a passing garbage scow when his cape rips. (See also Alec Guinness in the 1955 original.) (Thanks to Robert and James)
Extremely Loud and Incredibly Close (2011) [Thomas Schell]: Killed (off-screen) in the 9/11 World Trade Center attack; he periodically appears in flashbacks throughout the rest of the movie. (Thanks to Tommy)